Trend-Following Backtester · Guide · backtest 한국어
equity · GB
JD Sports Fashion Plc backtest
10 trend-following strategies were compared on the full daily history of JD Sports Fashion Plc. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.8%, MDD -25.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 11.8%, drawdown -87.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 11.8%, MDD -25.9%, Sharpe 0.86, 19% exposure.
CAGR reference leader: Supertrend — CAGR 21.5%, MDD -44.4%, exposure 61%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 62.0%p (CAGR 11.8%, MDD -25.9%, exposure 19%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=3.1 |
11.8% | -25.9% | 0.86 | 0.45 | 27.7x | 102 | 19% |
| Supertrend period=9, mult=5 |
21.5% | -44.4% | 0.86 | 0.49 | 337.7x | 118 | 61% |
| 볼린저 밴드 돌파 n=26, k=2.4 |
13.0% | -43.6% | 0.75 | 0.30 | 38.1x | 156 | 31% |
| Donchian 채널 돌파 entryN=16, exitN=23 |
17.4% | -75.5% | 0.73 | 0.23 | 119.7x | 166 | 60% |
| ADX / DI 방향성 period=20, threshold=17 |
13.8% | -50.8% | 0.70 | 0.27 | 47.2x | 268 | 43% |
| SMA 크로스오버 fast=7, slow=201 |
14.7% | -59.5% | 0.67 | 0.25 | 60.6x | 69 | 58% |
| EMA 크로스오버 fast=19, slow=64 |
15.1% | -64.6% | 0.66 | 0.23 | 67.2x | 91 | 60% |
| ROC 모멘텀 n=43, threshold=-0.08 |
15.0% | -72.0% | 0.61 | 0.21 | 65.5x | 263 | 75% |
| Parabolic SAR step=0.03, maxStep=0.38 |
13.0% | -59.9% | 0.59 | 0.22 | 38.0x | 716 | 53% |
| MACD fast=18, slow=35, signal=13 |
11.4% | -72.0% | 0.55 | 0.16 | 24.9x | 362 | 51% |
| Buy and hold | 11.8% | -87.9% | 0.48 | 0.13 | 28.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 17-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 17-day average